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A Hidden Markov Model Approach to Information-Based Trading: Theory and Appli...
This paper develops a novel approach to information-based securities trading by characterizing the hidden state of the market, which varies following a Markov process. Extensive... -
Estimating Incentive and Selection Effects in the Medigap Insurance Market: A...
This paper presents an empirical study of endogenous treatment effects in the presence of heterogeneous responses. We estimate the incentive and selection effects of having... -
Fiscal Policies and Credit Regimes: A TVAR Approach (replication data)
This work investigates how the state of credit markets affects the impact of fiscal policies. We estimate a threshold vector autoregression (TVAR) model on US quarterly data for... -
Refining Stylized Facts from Factor Models of Inflation (replication data)
Factor models of disaggregate inflation indices suggest that sectoral shocks generate the bulk of sectoral inflation variance, but no persistence. Aggregate shocks, by contrast,... -
Anticipating Long-Term Stock Market Volatility (replication data)
We investigate the relationship between long-term US stock market risks and the macroeconomic environment using a two-component GARCH-MIDAS model. Our results show that... -
Extracting Nonlinear Signals from Several Economic Indicators (replication data)
We develop a twofold analysis of how the information provided by several economic indicators can be used in Markov switching dynamic factor models to identify the business cycle... -
The Measurement and Characteristics of Professional Forecasters' Uncertainty ...
Several statistical issues that arise in the construction and interpretation of measures of uncertainty from forecast surveys that include probability questions are considered,... -
What Drives Oil Prices? Emerging Versus Developed Economies (replication data)
We explore the role of demand from emerging and developed economies as drivers of the real price of oil. Using a FAVAR model that identifies shocks from different regions of the...
